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Interestingly, Twitter either has some very slow eventual consistency issues or really doesn’t like it if you’re not following anyone and follows people for you. Going to keep an eye on it. It followed one person yesterday. Unfollowed. Woke up today and I was following three. 
@aral
I've seen a case where someone's account is disabled (or something like that) so Twitter marks you as no longer following that account. And when they sort it out, you are magically following them again. Maybe it is an account you were following but it was disabled when you did your mass unfollow? That could match your description.
@mhp Could be. Hard to know with black-box algorithms/source.